Gaussian likelihood estimation for nearly nonstationary AR(1) processes
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Publication:806871
DOI10.1214/aos/1176348241zbMath0729.62077MaRDI QIDQ806871
Publication date: 1991
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348241
least squares estimator; conditional maximum likelihood; Gaussian maximum likelihood estimator; asymptotic mean squared error; continuous-time Ornstein- Uhlenbeck process; nearly nonstationary asymptotic model; three-parameter first-order autoregressive model
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
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